Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3702 |
| Annualized Std Dev | 0.4378 |
| Annualized Sharpe (Rf=0%) | -0.8457 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3696.0000 |
| NAs | 1.0000 |
| Minimum | -0.2298 |
| Quartile 1 | -0.0142 |
| Median | -0.0026 |
| Arithmetic Mean | -0.0015 |
| Geometric Mean | -0.0018 |
| Quartile 3 | 0.0093 |
| Maximum | 0.2400 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0023 |
| UCL Mean (0.95) | -0.0006 |
| Variance | 0.0008 |
| Stdev | 0.0276 |
| Skewness | 0.1838 |
| Kurtosis | 8.7212 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0189 |
| Gain Deviation | 0.0221 |
| Loss Deviation | 0.0194 |
| Downside Deviation (MAR=210%) | 0.0244 |
| Downside Deviation (Rf=0%) | 0.0196 |
| Downside Deviation (0%) | 0.0196 |
| Maximum Drawdown | 0.9992 |
| Historical VaR (95%) | -0.0399 |
| Historical ES (95%) | -0.0637 |
| Modified VaR (95%) | -0.0405 |
| Modified ES (95%) | -0.0459 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-02-12 | NA | -0.9992 | 3102 | 3077 | NA |
| 2006-07-24 | 2007-10-31 | 2008-10-09 | -0.5630 | 559 | 322 | 237 |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.3123 | 17 | 6 | 11 |
| 2008-10-10 | 2008-10-13 | 2008-10-24 | -0.2322 | 11 | 2 | 9 |
| 2006-07-17 | 2006-07-19 | 2006-07-21 | -0.0331 | 5 | 3 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | 3.6 | -1.1 | 0.9 | 2.9 | 1.6 | -0.1 | 7.9 |
| 2007 | 0.4 | 1.2 | -0.3 | -0.6 | 0.4 | -0.7 | -1.6 | -1.5 | -2.1 | 2.8 | 0.7 | 2 | 0.7 |
| 2008 | -4 | 3.3 | -7.8 | -6.3 | -0.9 | -2.5 | 1.9 | 3.2 | 1.3 | 0.4 | 15.2 | -1.7 | 0.3 |
| 2009 | 3.7 | 2 | -2.9 | -0.3 | -6.1 | -0.4 | 0.8 | 3.8 | 5.7 | 5.2 | -2.2 | 1.8 | 10.8 |
| 2010 | -2.1 | -2.9 | 0.1 | 4 | 2 | 0.7 | -0.5 | -5.8 | 0.2 | 0 | -4.3 | 0.6 | -8 |
| 2011 | -3.7 | 3.2 | 0 | -0.1 | 4.2 | -3.1 | 0.8 | 1.8 | 5.2 | 5.2 | -1.5 | 0.6 | 12.9 |
| 2012 | -1.6 | -1.6 | 0.4 | -0.3 | 5.3 | -6.3 | 0.5 | -1.4 | 0.2 | -3 | 0.2 | -4.2 | -11.5 |
| 2013 | -2.5 | -0.9 | 1.4 | 0.9 | 2 | -1.3 | -2 | 1.3 | -2.1 | 0 | -1 | -1.3 | -5.4 |
| 2014 | 0.4 | 0.3 | -3.5 | -0.6 | 0 | -2.2 | 0.7 | -0.8 | 3.2 | -2.8 | 2.3 | 2.2 | -1 |
| 2015 | 1.5 | 0.9 | 1 | -2.7 | -0.6 | -1.5 | 0.2 | 6.1 | -0.9 | 0.9 | -2.1 | 2.4 | 5.1 |
| 2016 | -0.6 | -6.3 | -2 | 1 | 0.2 | -0.9 | -1.2 | -0.5 | -1.4 | 1.5 | 3.3 | 1.9 | -5.3 |
| 2017 | -1.3 | -2.2 | 0.1 | -1.7 | -0.8 | 0.2 | -0.4 | 0.1 | -1.5 | 0 | 0.7 | 1.1 | -5.6 |
| 2018 | 1.5 | 3 | -3.6 | -2.3 | -3.2 | -0.3 | -1 | -0.3 | -0.4 | -2.9 | -1.5 | -1.5 | -12.1 |
| 2019 | 1 | -1.4 | -2.6 | 0.9 | 3.2 | -2.7 | 1.3 | 0.4 | 1.7 | -1.8 | 0.9 | -0.3 | 0.2 |
| 2020 | 3.2 | -0.7 | 8.3 | 5.9 | -1.1 | -2.4 | -3.6 | -3.2 | -3 | 4.8 | -2.7 | -0.6 | 4.1 |
| 2021 | -5 | -5.9 | -0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -11.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-07-13 24042. SPY 124 -0.0163 -0.027 0.0118 -0.0379 0.0128 0.231 0.0416 GLD 65.6 0.0097 0.0401
2 2006-07-14 24624 SPY 124. -0.0039 -0.0244 0.0002 -0.0403 0.005 0.229 0.0319 GLD 65.8 0.0046 0.0514
3 2006-07-17 24480 SPY 123. -0.0015 -0.0277 -0.022 -0.0413 0.0041 0.234 0.043 GLD 64.0 -0.0289 0.0311
4 2006-07-18 24320 SPY 124. 0.0051 -0.027 -0.0055 -0.0515 0.0132 0.259 0.0472 GLD 62.9 -0.0164 -0.0143
5 2006-07-19 23808 SPY 126. 0.0139 -0.00290 0.0163 -0.0402 0.0217 0.263 0.0371 GLD 64.0 0.018 -0.0137
6 2006-07-20 24528 SPY 125. -0.0068 0.0067 0.006 -0.048 0.0113 0.270 0.0212 GLD 62.5 -0.0233 -0.0459
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
